Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 10 is Best) | 1 | 1 | 1 |
| Score | -9.12 | -5.61 | -9.61 |
| Market Cap (Millions USD) | 589.08 | 617.88 | 606.21 |
| Predicted Beta | 0.07 | 0.07 | 0.1 |
| Idiosyncratic Volatility | 2.11 | 2.29 | 3.5 |
Annualized return and volatility
| IYE | |
|---|---|
| Annualized Return | 0.0517 |
| Annualized Std Dev | 0.2654 |
| Annualized Sharpe (Rf=0%) | 0.1948 |
Row
Daily Return Statistics
| IYE | |
|---|---|
| Observations | 4996.0000 |
| NAs | 118.0000 |
| Minimum | -0.1893 |
| Quartile 1 | -0.0077 |
| Median | 0.0003 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0092 |
| Maximum | 0.2438 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0003 |
| Stdev | 0.0167 |
| Skewness | 0.0284 |
| Kurtosis | 17.8058 |
Downside Risk
| IYE | |
|---|---|
| Semi Deviation | 0.0120 |
| Gain Deviation | 0.0116 |
| Loss Deviation | 0.0125 |
| Downside Deviation (MAR=210%) | 0.0166 |
| Downside Deviation (Rf=0%) | 0.0119 |
| Downside Deviation (0%) | 0.0119 |
| Maximum Drawdown | 0.5582 |
| Historical VaR (95%) | -0.0255 |
| Historical ES (95%) | -0.0385 |
| Modified VaR (95%) | -0.0210 |
| Modified ES (95%) | -0.0210 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-05-21 | 2009-03-05 | 2013-09-18 | -0.5582 | 1364 | 205 | 1159 |
| 2014-06-24 | 2016-01-20 | NA | -0.4741 | 1411 | 405 | NA |
| 2001-05-21 | 2002-07-23 | 2004-06-23 | -0.3962 | 791 | 297 | 494 |
| 2008-01-04 | 2008-02-06 | 2008-04-16 | -0.1618 | 72 | 23 | 49 |
| 2005-09-30 | 2005-10-20 | 2006-01-17 | -0.1579 | 76 | 16 | 60 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | IYE | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | 0.0 | 0.0 | 0.9 | 0.0 | 2.9 | 1.5 | 0.0 | 5.5 |
| 2001 | -1.1 | 0.5 | 0.0 | -1.4 | -0.3 | 0.0 | -1.3 | 0.0 | -2.0 | 1.2 | 0.0 | 0.0 | -4.3 |
| 2002 | 1.0 | 1.2 | 0.3 | 1.4 | 0.0 | -1.2 | -6.4 | 0.0 | 3.4 | 2.7 | 0.0 | 0.0 | 2.0 |
| 2003 | 0.0 | 0.0 | 1.2 | -0.1 | 0.0 | -0.3 | 0.1 | 0.0 | 1.2 | 0.0 | 1.0 | 0.0 | 3.0 |
| 2004 | 0.0 | 1.7 | -1.2 | 0.0 | 1.4 | 0.3 | 0.0 | 1.5 | 1.1 | -0.5 | -2.4 | 0.0 | 2.0 |
| 2005 | 1.6 | -2.1 | 2.2 | 0.0 | 1.8 | 2.0 | 0.9 | 2.1 | 0.0 | 0.6 | 3.0 | 0.0 | 12.6 |
| 2006 | -2.0 | 1.4 | 0.0 | 1.4 | 0.5 | 0.0 | 0.4 | 1.4 | 0.0 | -0.9 | 0.5 | 0.0 | 2.7 |
| 2007 | 0.9 | -0.1 | 0.0 | 0.5 | 1.0 | 0.0 | -0.2 | 0.0 | 1.5 | -2.1 | 0.0 | 0.0 | 1.5 |
| 2008 | 1.3 | 0.0 | 1.7 | -2.4 | 0.0 | 0.7 | -0.2 | 0.0 | -1.7 | 0.0 | -9.6 | 0.0 | -10.1 |
| 2009 | 0.0 | 0.0 | 1.9 | 3.3 | 3.5 | 0.2 | 0.0 | -1.9 | -2.9 | 0.0 | 1.5 | 0.0 | 5.5 |
| 2010 | 3.0 | 1.1 | 1.7 | 0.0 | -4.6 | -0.2 | 0.0 | 3.7 | 1.1 | 0.4 | 2.8 | 0.0 | 9.0 |
| 2011 | 1.8 | -1.7 | 0.4 | 0.0 | -2.4 | 1.1 | -0.1 | -0.7 | 0.0 | -3.0 | -0.4 | 0.0 | -5.0 |
| 2012 | 0.5 | 1.0 | 0.0 | 1.3 | -2.3 | 0.0 | 0.6 | 0.0 | 0.5 | 0.7 | 0.0 | 0.0 | 2.2 |
| 2013 | 0.9 | -0.1 | -0.1 | -1.5 | 0.0 | 0.9 | 1.3 | 0.0 | 0.7 | -0.4 | 0.0 | 0.0 | 1.7 |
| 2014 | 0.0 | 0.0 | 0.6 | -0.3 | 0.0 | 0.1 | -0.8 | 0.0 | -1.9 | 0.0 | 0.4 | 0.0 | -1.9 |
| 2015 | 0.0 | 0.0 | 0.3 | 0.3 | -0.3 | -1.7 | 0.0 | -3.8 | 0.1 | 0.0 | 0.7 | 0.0 | -4.4 |
| 2016 | -2.0 | 2.1 | -1.4 | 0.0 | 0.2 | 0.5 | -3.4 | -0.2 | 0.0 | 0.1 | 0.2 | 0.0 | -3.9 |
| 2017 | -0.7 | 2.2 | 0.0 | -0.3 | 0.8 | 0.0 | 0.0 | 0.9 | 0.0 | 1.2 | 0.9 | 0.0 | 5.1 |
| 2018 | 1.1 | -0.1 | 0.0 | -0.7 | 0.4 | 0.0 | -1.2 | 0.0 | 1.4 | 0.9 | 0.0 | 0.0 | 1.8 |
| 2019 | 1.7 | 1.8 | 1.3 | -2.2 | 0.0 | 0.2 | -2.5 | 0.0 | -2.3 | 2.4 | 0.0 | -0.1 | 0.1 |
Row
Rolling Performance Chart
Snail Trail Chart
